Adriano Dal Pastro
9d15506b05
Audit anti-overfit su tutte le 19 sleeve (diario 2026-06-11-stability-sweep.md): - FIX BasketTrendWorker: mean(rets) sui soli asset in posizione sovrappesava N/k a paniere parziale (1 long = 0.45 del capitale invece di 0.09) -> replay -44% vs ref +42%. Ora sum(rets)/N (convenzione canonica 1/N): replay +32% vs +42% (residuo = convenzione dichiarata). Solo statistica PAPER. - XS01 PHASE-TRANCHING (gate xs01_tranche_gate: plateau K=2 E K=3 promossi, PORT06 OOS Sh 10.07->10.15 DD 1.48->1.38, FULL pari): la fase del roll e' timing-luck (Sharpe daily 1.52-2.33, DD 13.8-33% sulle 12 fasi). Worker con param tranches (default 1), 3 sub-book sfasati hold/3 su capitale comune, migrazione status legacy, last_bar_ts solo-avanti; runner forward del param; _defs tranches=3; hourly_report aggrega i sub-book; validatore esteso e PASSATO (K=1 == xsec_sim esatto, K=3 == unione fasi esatto). - Disaster-cap z sui pairs: pre-registrato e BOCCIATO su tutti i criteri (coda OOS peggiora 4/6 coppie, Sharpe -10..-49%, plateau solo del danno; 5a conferma stop-su-MR). Record pairs_zstop_research.py; pairs restano senza stop. - Audit drift: regression-lock trendmax OK (parita' 1.00000, plateau 2.5/3.0/3.5 confermato), correlazioni cross-famiglia ~0 invariate; PORT06 rolling al 19-28mo pct (normale) ma FADE 120g al 2o percentile storico -> monitor in TODO (nessun ritocco parametri). - TODO: forming-bar ROT02/TSM01 era gia' fixato (v1.1.10), item chiuso. Test: pytest 99 passed; validate_honest_workers OK; validate_xsec_worker OK. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
84 lines
3.5 KiB
Python
84 lines
3.5 KiB
Python
"""Valida il CrossSectionalWorker: replay bar-per-bar == backtest XS01.xsec_sim?
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Come validate_worker_pairs: alimenta il worker con finestre trailing crescenti del
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pannello 8-asset e confronta capitale finale e n.trade col backtest di riferimento
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scripts.strategies.XS01_cross_sectional.xsec_sim. Se combaciano, la semantica live e' fedele.
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"""
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from __future__ import annotations
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import shutil
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import sys
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import tempfile
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from pathlib import Path
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import pandas as pd
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from src.live.xsec_worker import CrossSectionalWorker
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from scripts.strategies.XS01_cross_sectional import aligned_panel, xsec_sim, UNIVERSE, LB, HOLD
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def _replay(M, dfs, params):
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"""Alimenta il worker bar-per-bar su finestre trailing; ritorna il worker."""
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n = len(M)
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tmp = Path(tempfile.mkdtemp(prefix="xsec_val_"))
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try:
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w = CrossSectionalWorker(UNIVERSE, tf="1h", params=params,
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fee_rt=0.0005, data_dir=tmp)
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w._save = lambda: None; w._log = lambda *a, **k: None; w._notify = lambda *a, **k: None
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window = LB + 6
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for k in range(LB + 1, n + 1): # prima finestra = lb+1 barre -> ingresso al bar lb
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lo = max(0, k - window)
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w.tick({a: dfs[a].iloc[lo:k] for a in UNIVERSE})
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return w
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finally:
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shutil.rmtree(tmp, ignore_errors=True)
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def main():
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print("=" * 88)
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print(" VALIDAZIONE CrossSectionalWorker — replay live vs backtest xsec_sim (fee 0.10% RT/book)")
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print("=" * 88)
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M = aligned_panel(UNIVERSE)
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dfs = {a: pd.DataFrame({"timestamp": M.index.values, "close": M[a].values}) for a in UNIVERSE}
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# [1] K=1: parita' storica col backtest canonico
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w = _replay(M, dfs, {"lb": LB, "hold": HOLD})
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bt = xsec_sim(UNIVERSE)
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bt_cap = 1000.0 * (1 + bt["ret"] / 100)
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cap_ok = abs(w.capital - bt_cap) / bt_cap < 0.02 if bt_cap else False
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trd_ok = abs(w.total_trades - bt["trades"]) <= max(2, bt["trades"] * 0.02)
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ww = w.total_wins / w.total_trades * 100 if w.total_trades else 0
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print(f"\n [K=1] {'':<6}{'cap':>14}{'trades':>8}{'win%':>7}")
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print(f" WORKER{w.capital:>14.0f}{w.total_trades:>8d}{ww:>7.1f}")
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print(f" BCKTST{bt_cap:>14.0f}{bt['trades']:>8d}{bt['win']:>7.1f}")
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ok1 = cap_ok and trd_ok
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print(f" ESITO: {'OK (replay == backtest)' if ok1 else 'DIFF -> INDAGARE'}")
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# [2] K=3 (tranching live): parita' con l'unione delle fasi 0,4,8 (gate
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# xs01_tranche_gate) — capitale comune, PnL/K per trade in ordine di exit
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from scripts.analysis.xs01_tranche_research import xsec_trades
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K = 3
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w3 = _replay(M, dfs, {"lb": LB, "hold": HOLD, "tranches": K})
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step = HOLD // K
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allt = sorted([t for j in range(K) for t in xsec_trades(phase=j * step, M=M)],
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key=lambda t: t[1])
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cap = 1000.0
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for _, _, net in allt:
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cap = max(cap + cap * 0.15 * 3.0 * net / K, 10.0)
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cap_ok3 = abs(w3.capital - cap) / cap < 0.02
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trd_ok3 = abs(w3.total_trades - len(allt)) <= max(2, len(allt) * 0.02)
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print(f"\n [K=3] {'':<6}{'cap':>14}{'trades':>8}")
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print(f" WORKER{w3.capital:>14.0f}{w3.total_trades:>8d}")
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print(f" BCKTST{cap:>14.0f}{len(allt):>8d}")
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ok3 = cap_ok3 and trd_ok3
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print(f" ESITO: {'OK (replay == unione fasi)' if ok3 else 'DIFF -> INDAGARE'}")
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print(f"\n ESITO COMPLESSIVO: {'OK' if (ok1 and ok3) else 'DIFF -> INDAGARE'}")
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print(" (diff minime attese da bar finale aperta / troncamento)")
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if __name__ == "__main__":
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main()
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